Research On Volume-Price Relation Of Chinese Stock Markets By Moving Tendency

Modern financial theories, which based on EMH are challenged by some practice puzzles; however, behavior finance can efficiently explain those puzzles. As the accelerated internationalization of stock market, economy, politics and other factors can change people's investment behaviors and expectations of future, then influence moving tendency of stock market by the two most basic variables: volume and price. At the same time, people will change their behaviors by moving tendency of stock, and these actions will be exhibited by volume and price, so they can influence volume-price relation. Therefore, the moving tendency of stock and volume-price relation are influenced each other through people's expectation and investment behaviors and become indivisible complex. Also there are many researches about volume-price relation following many research methods, but these researches divided the close relation between stock moving tendency and volume-price relation, so these researches were difficult in exhibiting true volume-price relation.The paper grasps the stock tendency, places tendency analysis into volume-price analysis. At the same time, combines stock movement to stock energy transform, then transforms volume energy into a prat of potential energy which uses to sustain current price and the other energy which promotes higher potential energy in high price.The paper also builts up analysis methods by moving tendency, which includes computing equilibria price, looking for moving tendency line, disassembling volume. Next, the paper analyzes relation between disassembled volume promoting price movement and equilibria price, the methods can decrease influence of human manipulation in stock market and avail to exhibit true volume-price relation.On the one hand, the paper places analysis methods of moving tendency into volume-price analysis; on the other hand, it places new financial theory Copula into volume-price relativity research. This avoids disadvantage of strict hypothesis of variable distribution in past researches. Later, the paper combines analysis methods of moving tendency with linear and nonlinear analysis respectively, applies to volume-price causality research. Thus it can decrease influence of human manipulation, and also analysis difference of volume-price relation in difference market condition expediently by contrast, and then contrasts moving tendency analysis in researching volume-price relation to ususl causality reseach. After the analysis and contrast, the paper reveals the influence of investors'behavior on volume-price relation in different market condition. The researchs embody effecting on volume-price relation by moving tendency, including volume-price relativity research and volume-price causality, the paper propose on securities management by the difference results in difference conditions. In the end, the paper researchs reaction on moving tendency by volume-price relativity, that is volume-price deviation leading to the change of moving tendency. Then builds up volume-price elasticity by conception of elasticity in economics, so the change of volume-price elasticity can exhibit the abnormal change of volume-price relation, it prepares tool in estimating key period of stock moving tendency. The paper concludes that the volume-price continuous deviation leads to the change of moving tendency by behaviour finance, and the volume-price relation would difference with that of current moving tendency before reversion. So the key period of tendency reversion is equal to the period of abnormal fluctuation in volume-price relation. Thus it buils analysis methods of moving tendency making use of the tool of volume-price elasticity coefficient, it resolve the difficulty in forecasting stock moving tendency.The paper obtains some conclusions after many theories analysis and empirical tests: Firstly, Volume-price relativity is extensive: total volume or it's change, disassembled volume promoting price movement or it's change all has plus relativity to equilibria price. Secondly, there is unilateralisms Granger casuality in bullmarket, while there is bidirectional Granger casuality in bearmarket. There is not nonlinear Granger casuality in both markets. Third, Behavior finance has remarkable effects after contrasting to different investment conditions. Moreover, causality research by moving tendency can reflect the stable relation while usual causality research can't do. Fourth, it can be ture forecasing key period of tendency reversion by building volume-price elasticity coefficient containing composite information of volume-price and analysis methods of moving tendency.The paper avails to the abundance of volume-price theory by applying analysis methods of moving tendency, new financial theory Copula function and nonlinear research to volume-price research. It can also promote the application of behavior finance in stock analysis by analyzing investors'behaviors in different period of a tendency, and contrasing volume-price relation in different investment conditions. The methods forecast on key period by moving tendency, containing composite application of volume-price relation, stock tendency and investors'behaviors change, will improve the progress of stock forecast theory.